In this paper we present simple extensions of earlier works on the optimal time
to exchange one basket of log Brownian assets for another. A superset and
subset of the optimal stopping region in the case where both baskets consist of
multiple assets are obtained. It is also shown that a conjecture of Hu and
Øksendal (1998) is false except in the trivial case where all the
assets in a basket are the same processes.
Publié le : 2011-03-15
Classification:
Log Brownian motion,
optimal stopping time,
continuation region,
convex hull,
60G40,
62L15,
93E20
@article{1300198133,
author = {Nishide, Katsumasa and Rogers, L. C. G.},
title = {Optimal time to exchange two baskets},
journal = {J. Appl. Probab.},
volume = {48},
number = {1},
year = {2011},
pages = { 21-30},
language = {en},
url = {http://dml.mathdoc.fr/item/1300198133}
}
Nishide, Katsumasa; Rogers, L. C. G. Optimal time to exchange two baskets. J. Appl. Probab., Tome 48 (2011) no. 1, pp. 21-30. http://gdmltest.u-ga.fr/item/1300198133/